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The cryptocurrency markets offer an interesting opportunity for investors who seek risk-adjusted returns. The goal of this paper is to assess the relative risk and return of a selected popular cryptocurrency in a single market. Two essential tools of modern finance have been taken to make this assessment: the Sharpe ratio and the Capital Asset Pricing Model (CAPM). Daily returns, mean returns, and their standard deviations were considered for individual cryptocurrencies and the market, with the three-month US Treasury notes serving as a risk-free return. We deducted the daily average return from the risk-free return to calculate excess returns, while regression analysis was deployed to obtain each cryptocurrency’s beta relative to the return of the market. We found that certain pairs (FTM-USD, BNB-USD, QNT-USD, RPL-USD, SNX-USD, and ADA-USD) of cryptocurrencies performed much better than expected on a risk-adjusted basis. While past performance is no guarantee of future returns, traders and investors should diversify their holdings, keep abreast of technology developments, manage risks appropriately, and think and act long-term. Regulatory and security issues are equally important.

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A Comparative Analysis of Select Crypto Currency in Selective Market Using Sharpe Ratio and CAPM Model

  • 会议论文

  • 发表日期：

    2025年

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  • Kamal Agarwal,
  • Rakesh Dube,
  • Afzalur Rahman,
  • Shubhang Preet Sinha

摘要

The cryptocurrency markets offer an interesting opportunity for investors who seek risk-adjusted returns. The goal of this paper is to assess the relative risk and return of a selected popular cryptocurrency in a single market. Two essential tools of modern finance have been taken to make this assessment: the Sharpe ratio and the Capital Asset Pricing Model (CAPM). Daily returns, mean returns, and their standard deviations were considered for individual cryptocurrencies and the market, with the three-month US Treasury notes serving as a risk-free return. We deducted the daily average return from the risk-free return to calculate excess returns, while regression analysis was deployed to obtain each cryptocurrency’s beta relative to the return of the market. We found that certain pairs (FTM-USD, BNB-USD, QNT-USD, RPL-USD, SNX-USD, and ADA-USD) of cryptocurrencies performed much better than expected on a risk-adjusted basis. While past performance is no guarantee of future returns, traders and investors should diversify their holdings, keep abreast of technology developments, manage risks appropriately, and think and act long-term. Regulatory and security issues are equally important.